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Incorporating single and multiple losses in operational risk: a multi-period perspective

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Mizgier, Kamil J. ; Wimmer, Maximilian
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Date of publication of this fulltext: 16 Mar 2017 09:18


Operational disruptions can have serious repercussions for firms over extended periods of time. In this work, we develop a multi-period model of operational risk. We define the loss process of operational disruptions as a sum of events triggering single and multiple losses. We empirically validate our approach using an extensive dataset of operational disruptions experienced by firms from the ...


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